THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
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Publication:4906531
DOI10.1111/J.1467-9965.2010.00466.XzbMath1278.91160OpenAlexW3123841841MaRDI QIDQ4906531
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00466.x
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ Almost sure optimal hedging strategy ⋮ Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations ⋮ Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees ⋮ On Suboptimality of Delta Hedging for Asian Options ⋮ Higher-order error estimates of the discrete-time Clark-Ocone formula
Cites Work
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- On approximation of a class of stochastic integrals and interpolation
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Discrete time hedging errors for options with irregular payoffs
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